Diversifying Portfolio Risk by Book-to-Market and Size

• Main Authors: Kuo, Jian-Hong, 郭建宏
• Other Authors: Ming-Xian Chen
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/31540584099966608413

碩士 === 國立臺灣大學 === 財務金融學系研究所 === 86 === Sinquefield發現規模和淨值市價比這兩個因子對報酬率具有解釋能力,而且這兩種風 險溢酬與國外各種溢酬的相關程度遠比各國市場溢酬之間的相關為低,投資在國外的小公 司和高淨值市價比股票可以為國際投資組合帶來很好的風險分散效果.但是Sinquefield忽 略了報酬相關會隨著景氣循環而改變,在空頭時報酬率的相關程度會大幅提高,將風險分散 的利益抵消. 本文檢視Sinquefield的投資策略在香港,泰國,馬來西亞,南韓和臺灣的 效果,並區分空頭和多頭,觀察各種風險溢酬相關程度的改變情形,結果發現規模溢酬和淨 值市價比溢酬和國外各腫溢酬不論在空頭或多頭時均維持相當低的相關,確實可為國際投 資組合帶來極佳的風險風險分散效果. Sinquefield(1996) shows that value and size,as two risk factors,effectively explain difference in expected returns acros equity portfolio.Investors could hold portfolios with above-market proportion of value and small stocks, would have above-market expected returns,while maintaining the same or even less portfolio risk.Solnik(1995,1996) further shows that the correlation for the risk premium of those two factors grows stronger while markets are down,which may offset some of the diversification effect aforementioned. This study uses the same investment technique proposed by Sinquefield (1996)and Solnik (1995 ,1996) , to investigate the international equity-risk diversification effectts among Asian-Pacific countries . The result shows investment across different sizes and book-to-market values in five Asian countries would increase portfolio returns,while maintaining the same or even less portfolio risk.